Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0819
Annualized Std Dev 0.2114
Annualized Sharpe (Rf=0%) 0.3875

Row

Daily Return Statistics

Close
Observations 3288.0000
NAs 1.0000
Minimum -0.1055
Quartile 1 -0.0043
Median 0.0008
Arithmetic Mean 0.0004
Geometric Mean 0.0003
Quartile 3 0.0060
Maximum 0.1040
SE Mean 0.0002
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0009
Variance 0.0002
Stdev 0.0133
Skewness -0.3346
Kurtosis 10.2275

Downside Risk

Close
Semi Deviation 0.0098
Gain Deviation 0.0095
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0142
Downside Deviation (Rf=0%) 0.0096
Downside Deviation (0%) 0.0096
Maximum Drawdown 0.5530
Historical VaR (95%) -0.0203
Historical ES (95%) -0.0337
Modified VaR (95%) -0.0200
Modified ES (95%) -0.0358
From Trough To Depth Length To Trough Recovery
2008-05-16 2009-03-09 2012-03-15 -0.5530 966 204 762
2020-02-13 2020-03-23 2020-11-13 -0.3652 192 27 165
2018-01-29 2018-12-24 2019-10-28 -0.2009 441 229 212
2015-05-22 2016-02-11 2016-08-15 -0.1654 311 183 128
2012-03-27 2012-06-04 2012-09-06 -0.1066 114 48 66

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA -2.7 2.9 1.2 0.1 -0.4 -1 -1 -5.1 2.9 -8.7 1.6 -10.3
2009 -3.2 -2.9 2.4 1.1 3.1 0.2 1 -2.5 -2.3 -2.4 1.2 -0.7 -5.2
2010 1 0.9 0.8 -1.7 -2.6 -0.2 0.1 3.1 0.6 -0.1 2.1 -0.1 3.9
2011 1.6 -1.6 0.6 0.3 -2.5 1.3 -0.7 -1 -1.6 -3.1 0 -0.2 -6.8
2012 1.4 0.6 0.4 0.9 -2.3 2.2 -0.1 0.4 0.3 0.9 0.4 1.5 6.8
2013 1 0.2 -0.4 -1 -1.7 0.6 1.3 -0.6 0.5 0.4 -0.2 0.6 0.7
2014 -0.7 0.3 0.7 -0.3 0.2 0.6 -0.2 0.2 -1.3 1.2 -0.4 -1 -0.7
2015 -1.2 -0.1 -0.7 1.1 0.1 0.5 -0.4 -2.8 -0.2 -0.4 1 -0.7 -4
2016 0.2 2.1 0.4 -0.9 0.2 0.3 -0.4 -0.1 1 -0.8 0.3 -0.7 1.5
2017 -0.1 1.2 -0.2 0 1 0.2 0.2 0.5 0.3 0.2 -0.3 -0.4 2.7
2018 0 -1.3 1.1 -0.4 0.8 0 -0.6 0 0.4 1.1 0.4 0.9 2.3
2019 -0.2 0.3 1.3 -0.7 -1.4 0.6 -1.3 0.2 -1.3 1.3 -0.3 0.3 -1.3
2020 -1.9 -1.4 -4.2 -3.1 0.6 -0.3 -0.1 0.5 0.2 -0.3 0.9 0.5 -8.4
2021 0.8 2.1 0 NA NA NA NA NA NA NA NA NA 2.9

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy    ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-02-22  24.7 SPY    136.  0.0062    0.0033   0.0131  -0.0624  -0.0703    0.126    0.608 GLD    93.4  0.0015   0.041 
2 2008-02-25  25.2 SPY    137.  0.0126    0.0162   0.0173  -0.0307  -0.0549    0.158    0.612 GLD    92.7 -0.007    0.0403
3 2008-02-26  25.6 SPY    138.  0.0075    0.021    0.04    -0.04    -0.0469    0.158    0.651 GLD    93.7  0.0105   0.0233
4 2008-02-28  25.4 SPY    137. -0.0098    0.0154   0.0071  -0.04    -0.0288    0.127    0.644 GLD    96.0  0.0128   0.0294
5 2008-02-29  24.7 SPY    134. -0.0223   -0.0133  -0.0081  -0.0905  -0.0476    0.109    0.587 GLD    96.2  0.002    0.0299
6 2008-03-03  24.5 SPY    134. -0.00240  -0.0279  -0.0282  -0.0929  -0.0373    0.101    0.572 GLD    97.2  0.011    0.0485
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart